In the Results below for the SPY Optimisation 29-05-12 till 18-09-12 there is an obvious elimination of the small size trades between the Trading Limits.
Comparing this with the actual 3-1/2 months trading in which 7 trades were executed I have entered the actual Demo Portfolio results in red for easy comparison
Results for the optimisation /Real Demo Run
Holding Zones
HZ B = 4% / Start 5% then reduced stepwise to 1% & back to 2%
HZ S = 13% / Start at 7% then reduced stepwise to 2% & back to 3%
Trade Aggression
Buy = 0,98 /0,95
Sell =0 / 0,93
Starting conditions for the Optimisation 29-05-12
Cash = 21532 / 12693
Share V = 8751 / 8750
Reserve = 12781 12782
Trading Cost = 10.95 per trade
Interest on Reserve = 2%/yr / 2%/yr
Number of trades = 2 / 7
Trading cost = 21.90 / 76.65
Interest Earned = 5 /93.23
PV value on 18 September = 24348 /22219
Reserve = 3271 / 16087
Share Value = 21076 / 6132
Profit 2816 /779
ROI = 42,5 % /yr / 11.7 %
ROTAI = 35,3 % /yr / Not calculated
This method looks very much like the Method of Ocroft except for the Buy that occurred in the rather large Dip at a price of 127.44 (at Day 2 of the run, at which point I depleted the Reserve completely) the start, Ocroft's method might have bought on the recovery at a price of 135.7 (or he might not have bought anything at that price as the recovery % might have been too low for him) and might have bough bought at the next recovery at 147.24 . . .(or he might not have, as the recovery price was rather a small percentage again, so Ocroft might have not bought anything after the 3-1/2 month run.
If I would have eliminated the first large buy at 127.44 in line with Ocroft's method(the recovery price may not have been enough) then the Buy at the second dip would not have occurred at all and the Portfolio for these 3-1/2 months would have been a Buy & Hold one, with an ROI of only 14.4 %.
Again of course, in the real Demo I did not trade as I did in the Optimised Portfolio because I did not judge the parameters as well as I would have done if I hade dine some intermediate optimisation runs.
As it stands the SPY Portfolio realised 6,5% ROI at 18-09-12 for the total period since 03-01-2011
